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  • 學位論文

以財務比率建立企業授信信用評等之研究

A Study on the Application of Financial Ratio to Model Corporate Lending Credit Ratings

指導教授 : 林國欽

摘要


我國銀行業在金融體系中扮演著重要的角色,而授信業務又是銀行主要的獲利來源,但是授信業務有其信用風險,一旦授信戶違約,銀行不但不能獲利,逾放比率提高,連帶也會影響金融體系的穩定,因此如何管理授信信用風險是銀行業相當重要的課題。 早期金融業多以徵信同仁憑藉主觀的經驗來決定授信案件的准駁授信信用風險,後來開始發展企業信用評等來取代。本研究希望從參考文獻及銀行業實務經驗中,找出影響違約機率的風險變數,探討如何建立企業信用評分模型,完成企業信用評等,並應用企業信用評等來協助銀行業管理授信信用風險。 本研究蒐集2006年至2008年間,股票上市的「電子製造業」與「傳統製造業」樣本之資料,運用這些資料分別建立不區分產業及區分「電子製造業」與「傳統製造業」的企業信用評分模型,希望能經由模型之建立能有效的預測財務危機的風險,最後在應用於授信定價及授信准駁之參考,來控管授信信用風險,經由實證與應用探討,得到結論如下: 一、本文主要結果乃透過金融業之信用評等表內常用的財務比率為變數,再加上長期資金占固定資產比率、利息保障倍數、總資產週轉率、現金流量構面之財務比率,納入財務危機預警模型中,有效提升模型整體之解釋能力與預測能力。 二、本文綜合文獻與學者的研究,再結合研究者本身的實務經驗,發現金融業現行既有之八項財務比率的企業信用評等表,可以增加為本文之二十項,以提高預測財務危機的比率,將產生新的企業信用評等表運用在授信定價及授信准駁上,以管理授信信用風險。

並列摘要


The reason that banks play an important role in Taiwan financial industry is because lending business is the main source of profitability. However, the lending credit business has the risk of credit default account, consequently, the bank shall not be profit and ratio of overdue loans increased. As a result the financial system is unstability. How to manage credit risk is an important topic of the credit banking industry. To decide approval or rejection of credit risk may rely on personal subjective determination in early financial sector. In the future, the credit risk can be objectively judged by the corporate credit rating. In this study, we first review reference papers with practical experience in the banking industry to find out the probability of default risk variables and establish business credit scoring models. The corporate credit rating can be utilized to help the bank industry in credit risk management. In this study we collected the stock market sample data of "electronic manufacturing" and "traditional manufacturing industries" from 2006 to 2008 in TEJ data base and other data sources. Several corporate credit ratings models with respect to each industry and both industries are proposed. Through the model we can effectively predict the risk of financial crisis, and finally applied to credit pricing and credit approval or rejection of reference, future credit control credit risk. We obtain the following two main findings: 1. The proposed models with explanatory variables financial ratios, coupled with long-term capital to fixed assets ratio, interest coverage ratio, total asset turnover, cash flow, provide effectively improve the model explanatory power and predictive ability. 2. This comprehensive and scholars of literature, combined with practical experience of the researcher found that both of the existing financial Eight financial ratios list of enterprise credit rating can be increased to 20 of this paper is to improve the financial forecast the ratio of the crisis will have a new corporate credit rating table used in credit pricing and credit approval or rejection on the management of loan credit risk.

參考文獻


一、中文部份
(一)期刊文章:
1.王鶴松(民98),「全球金融危機對亞洲地區的省思與啟示」,銀行公會會訊,第五十三期,98年9月。
2.蘇敏賢(民98,)「國際會計準則、新巴塞爾協定與信用風險管理-淺論放款應收 款之減損評估與信用風險管理上的損失估計概念」,金融聯合徵信雙月刊,第八期,98年8月。
3.曾相海、孫盈哲、吳瑞山(民98),「企業危機預警之分析-以Logit 模型建財務指標實證分析」。臺灣銀行季刊,第六十卷,第二期。

被引用紀錄


林郁淳(2014)。醫院財務績效趨勢影響與影響因素研究〔碩士論文,義守大學〕。華藝線上圖書館。https://doi.org/10.6343%2fISU.2014.00098

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